Modelling Single-name and Multi-name Credit Derivatives

Business & Finance, Finance & Investing, Finance
Cover of the book Modelling Single-name and Multi-name Credit Derivatives by Dominic O'Kane, Wiley
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Author: Dominic O'Kane ISBN: 9781119995449
Publisher: Wiley Publication: March 8, 2011
Imprint: Wiley Language: English
Author: Dominic O'Kane
ISBN: 9781119995449
Publisher: Wiley
Publication: March 8, 2011
Imprint: Wiley
Language: English

Modelling Single-name and Multi-name Credit Derivatives presents an up-to-date, comprehensive, accessible and practical guide to the pricing and risk-management of credit derivatives. It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners.

This book is up-to-date as it covers many of the important developments which have occurred in the credit derivatives market in the past 4-5 years. These include the arrival of the CDS portfolio indices and all of the products based on these indices. In terms of models, this book covers the challenge of modelling single-tranche CDOs in the presence of the correlation skew, as well as the pricing and risk of more recent products such as constant maturity CDS, portfolio swaptions, CDO squareds, credit CPPI and credit CPDOs.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

Modelling Single-name and Multi-name Credit Derivatives presents an up-to-date, comprehensive, accessible and practical guide to the pricing and risk-management of credit derivatives. It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners.

This book is up-to-date as it covers many of the important developments which have occurred in the credit derivatives market in the past 4-5 years. These include the arrival of the CDS portfolio indices and all of the products based on these indices. In terms of models, this book covers the challenge of modelling single-tranche CDOs in the presence of the correlation skew, as well as the pricing and risk of more recent products such as constant maturity CDS, portfolio swaptions, CDO squareds, credit CPPI and credit CPDOs.

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